If your chart is referring to the spread between the EUR and USD swap rates, you can, in fact, replicate it. The closest you can get is by doing the weighted amount in the LIFFE euribor futures strip vs the CME Eurodollar strip. You can also do the weighted Eurex Schatz vs 2yr notes.

If your chart is referring to the spread between the EUR and USD swap rates, you can, in fact, replicate it. The closest you can get is by doing the weighted amount in the LIFFE euribor futures strip vs the CME Eurodollar strip. You can also do the weighted Eurex Schatz vs 2yr notes.

Well, apart from the more technical issues, such as basis (EUR swaps are vs 6m Euribor, whereas USD are vs 3m LIBOR), there's the issue with the fundamental argument. Essentially, the argument is that EURUSD is too cheap given 2y carry. However, carry isn't everything, especially in the case of a "vinaigrette" ccy like EUR.